A monopolist platform (the principal) shares profits with a population of affiliates (the agents), heterogeneous in skill, by offering them a common nonlinear contract contingent on individual revenue. The principal cannot discriminate across individual skill, but knows its distribution and aims...

We study the design of fee structures of variable annuities as a stochastic control problem, in which an insurer is allowed to choose the fee structure in any form, and seeks an optimal one to maximize her expected discounted net profit. We obtain a semi-explicit characterization result for the...

We develop a method to fi nd approximate solutions, and their accuracy, to consumption-investment problems with isoelastic preferences and in nite horizon, in incomplete markets where state variables follow a multivariate di ffusion. We construct upper and lower contractions, fi ctitious...

With model uncertainty characterized by a convex, possibly non-dominated set of probability measures, the investor minimizes the cost of hedging a path dependent contingent claim with given expected success ratio, in a discrete-time, semi-static market of stocks and options. Based on duality...

A hedge fund manager invests the fund in a constant investment opportunity, and receives high-water mark fees when the fund reaches a new maximum relative to a stochastic benchmark, aiming to maximize the expected power utility from fees in the long run. The manager's optimal portfolio includes...

N mutual funds compete for fund flows based on relative performance over their average returns, by choosing between an idiosyncratic and a common risky investment opportunities. The unique constant equilibrium is derived in closed form, which imply that most funds decrease the investments in...